Bond Analysis and Valuation 2600-ZRz1AWO
Course Topics:
• Sources of risk for debt instruments
• Analysis of the bond market (government, municipal, corporate, asset-backed, standard bonds)
• Price/yield relationship (average maturity of bonds)
• Bond duration and convexity; sensitivity analysis of bonds to interest rate changes
• Analysis of bonds with embedded options (types of options, exercise rules, bond valuation methods with options, callable and putable bonds, convertible bonds, effective duration, effective convexity, sensitivity analysis of option-embedded bonds to interest rate changes)
• Asset-backed securities (types of collateral, cash flow characteristics, mortgage-backed securities, other asset-backed securities, types of risks associated with asset-backed securities, valuation principles of asset-backed securities)
• Green bonds
Course coordinators
Type of course
Learning outcomes
Upon completion of the course, the student:
Knowledge
• Explains the basic sources of risk for debt instruments and terminology related to bond analysis and valuation (K_W01)
• Characterizes the principles, procedures, and practices of investment advisory in the area of debt instruments, including valuation methods and sensitivity analysis of bonds to interest rate changes (K_W02)
• Understands the impact of economic, legal, and environmental processes on the functioning of the bond market, including the role of green bonds in the economy and investment decisions (K_W05)
Skills
• Applies theoretical knowledge from economics and finance to the analysis and valuation of different types of bonds (K_U01)
• Analyzes and interprets the impact of interest rate changes and economic processes on bond valuation and investor decision-making (K_U02)
Social competences
• Critically evaluates the risk and investment potential of various types of bonds, including option-embedded bonds, asset-backed securities, and green bonds (K_K01)
Assessment criteria
Course assessment
Written exam – consisting of open questions, tabular tasks, and closed questions.
Project
A total of 100 points can be earned.
Grading thresholds:
0–50% – grade 2
51%–60% – grade 3
61%–70% – grade 3.5
71%–80% – grade 4
81%–90% – grade 4.5
91%–100% – grade 5
One absence per semester is permitted
The use of artificial intelligence tools to create coursework for assessment is prohibited.
Practical placement
-
Bibliography
Fabozzi F., Rynki obligacji. Analiza i strategie, WIG Press, Warszawa 2000, wyd. I.
Fabozzi, Frank J., red. The Handbook of Fixed Income Securities. 9th ed. New York: McGraw-Hill Education, 2021.
Utkin, Joanna. Obligacje i ich portfele. Wycena, wrażliwość, strategie. Warszawa: Polskie Wydawnictwo Ekonomiczne, 2017
Notes
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Term 2026Z:
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